Evaluating stochastic discount factors from term structure models

Journal of Empirical Finance - Tập 16 - Trang 852-861 - 2009
Heber K. Farnsworth1
1Olin Business School Washington University in St. Loius, USA

Tài liệu tham khảo

Dai, 2000, Specification analysis of affine term structure models, Journal of Finance, 55, 1943, 10.1111/0022-1082.00278 Dai, 2003, Term structure dynamics in theory and reality, Review of Financial Studies, 16, 631, 10.1093/rfs/hhg010 Duarte, 2004, Evaluating an alternative risk preference in affine term structure models, Review of Financial Studies, 17, 379, 10.1093/rfs/hhg046 Duffee, 2002, Term premia and interest rate forecasts in affine models, Journal of Finance, 57, 405, 10.1111/1540-6261.00426 Duffie, 1996 Duffie, 1996, A yield-factor model of interest rates, Mathematical Finance, 6, 379, 10.1111/j.1467-9965.1996.tb00123.x Ferson, 2006, Evaluating government bond fund performance with stochastic discount factors, Review of Financial Studies, 19, 423, 10.1093/rfs/hhj015 Fisher, 1996 Glasserman, 2004 Hansen, 1982, Generalized instrumental variables estimation of nonlinear rational expectations models, Econometrica, 50, 1269, 10.2307/1911873 Newey, 1987, A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix, Econometrica, 55, 703, 10.2307/1913610